In a recent Q&A at Eurogamer Expo, Lead Designer Eric Boltjes answered a whole bunch of questions (the video is below) that re-capped most of what we’ve covered (via Killzone.com), while also explaining the network structure for the online multiplayer:

Killzone: Shadow Fall has dedicated servers hosted in various regions around the world. These servers do not run the logic of the game – they only act as a hub between the clients, forwarding network traffic from one player in game to all other players in game. This allows people with a slower connection or strict firewall settings to play without issues. Almost all logic relating to you (e.g. moving, shooting and taking damage) runs on your local PS4, with only a very small portion of the game logic (i.e. mission/scoring logic) running on the ‘session master’, one PS4 in the game selected for its connection quality.